Police closed off Martin Place between Macquarie and Elizabeth Streets, Martin Place train station was also shut down.

Martin Place in the CBD is home to several prominent buildings, including New South Wales Premier Mike Baird's office, the Reserve Bank of Australia, Westpac Bank and the Commonwealth Bank headquarters as well as the US embassy and the Seven Network.

The Supreme Court, Sydney Hospital, State Library of NSW, and NSW parliament were also in lock-down.

"All my thoughts and prayers are with those members of the public affected by the situation in Martin Place and the NSW Police who are trained to deal with these events," Mr Baird said.

"I have spoken to Police Commissioner Andrew Scipione and have full confidence the NSW Police are working effectively to resolve the situation."

The federal government denied reports the airspace over the Sydney CBD had been shut down.